Encrypt a USB key on Windows with Bitlocker
Introduction
A USB key is small, it’s moved (in the office, in your bag), and potentially it gets lost… By encrypting your USB key, you reduce the risk of someone accessing the data if you lose your USB key. On Windows, it is possible to encrypt a USB key with Bitlocker. On Windows 10 and later, Bitlocker uses 128-bit XTS-AES by default [MICROSOFT 2022b].
Warning :
Bitlocker is an encryption tool offered by Windows, it will be difficult to decrypt your USB key on a Linux device. See reference for an example [UNIVERSITÉ CLERMONT AUVERGNE].
Steps
Encryption
You can encrypt with a password or to associate with a smart card and a pin if you have one.
Recovery option
Choose your recovery option. If you have a password manager, you can store the recovery key in the password manager.
If you decide to save to a file, be aware where and how you store the file.
Choose what you want encrypt
For a better security, it is preferable to encrypt the entire drive.
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Mode
The new mode of encryption (XTS-AES) is not compatible with older version of Windows. If you encrypt a USB drive, it can be preferable to use a compatible mode.
Confirmation
If all is right, you can confirm the encryption.
End
Check
You can then check if the device is encrypted and if you are able to unlock it.

Reference
MICROSOFT, 2022a. BitLocker. Microsoft Learn. Online. 13 July 2022. [Accessed 5 October 2022]. Retrieved from: https://learn.microsoft.com/en-us/windows/security/information-protection/bitlocker/bitlocker-overview
MICROSOFT, 2022b. BitLocker settings reference. Microsoft Learn. Online. 5 October 2022. [Accessed 5 October 2022]. Retrieved from: https://learn.microsoft.com/en-us/mem/configmgr/protect/tech-ref/bitlocker/settings
UNIVERSITÉ CLERMONT AUVERGNE, no date. Déchiffrer un disque Bitlocker à l’aide de Kali-Linux. Online. [Accessed 5 October 2022]. Retrieved from: https://lmv.uca.fr/wp-content/uploads/2019/09/linux-dechiffrement-bitlocker.pdf